
Hi, 

 

I have a question about the output of fit.st ( fit of multi t distribution)

 

(see output below)

 

I don't understand what is meant with Sigma.

I thought this is the variance. But what is by example then meant with 9.804357e-06 in the sigma table??

 

Given that is true, I don't understand how the covariance matrix is determined??

I get an another covariance matrix..

 

$nu
[1] 10.95019

$mu
           V1            V2 
 0.8486990676 -0.0001777042 

 

$Sigma
             V1           V2
V1 1.928608e-02 9.804357e-06
V2 9.804357e-06 2.960960e-05

 

$gamma
[1] 0 0

 

$ll.max
[1] 8747.493

 

$mean
[1]  0.8486990676 -0.0001777042

 

$covariance
             V1           V2
V1 2.359573e-02 1.199523e-05
V2 1.199523e-05 3.622612e-05

 

$correlation
           V1         V2
V1 1.00000000 0.01297421
V2 0.01297421 1.00000000

 

 

Best regards,

 

Jasper

_________________________________________________________________


	[[alternative HTML version deleted]]

